Risk Budgeted portfolio optimization problem centering on the twin objectives of maximizing expected portfolio return and minimizing portfolio risk and incorporating the risk budgeting investment strategy, turns complex for direct solving by classical methods triggering the need to look for metaheuristic solutions. This work explores the application of an extended Ant Colony Optimization algori...

Predictions about investor portfolio holdings can provide powerful tests of asset pricing theories. In the context of Markowitz portfolio selection problem, this paper develops an algorithm which determines the structural parameters in both the investor's return-generating process and the utility function based upon the actual portfolio choices made by each investor. We refer to this problem as...

5 We present efficient partial differential equation (PDE) methods for continuous time mean6 variance portfolio allocation problems when the underlying risky asset follows a jump-diffusion. 7 The standard formulation of mean-variance optimal portfolio allocation problems, where the 8 total wealth is the underlying stochastic process, gives rise to a one-dimensional (1-D) non-linear 9 Hamilton-J...

This paper proposes the PROMETHEE II based multicriteria approach for cryptocurrency portfolio selection. Such an allows considering a number of variables important cryptocurrencies rather than limiting them to commonly employed return and risk. The proposed multiobjective decision making model gives best daily return, standard deviation, value-at-risk, conditional volume, market capitalization...

It is important to investigate the different impact factors on establishment of investment portfolio. In order maximize profit a portfolio, this research selects six stocks: Adobe (ADBE), International Business Machines Corp (IBM), Bank America Corporation (BAC), Citigroup (C), Southwest Airlines Co (LUV) and Alaska Air Group Inc. (ALK) as an empirical case conduct decision. This compares resul...

This article considers a multi-period weighted mean-variance portfolio selection problem with uncertain time-horizon and stochastic cash flow in Markov regime-switching market. The random returns of risky assets amount the all depend on states market which are assumed to follow discrete-time chain. Based conditional distribution caused by exogenous factors, we construct more general investment ...

This article illustrates that since last century investment becomes more and popular as a way for people to save or spend money, but during the recovery of pandemic, how we could make suitable investment. article, it demonstrates an optimal portfolio with high return low risk, introduction Variance Mean model efficient frontier, accompanied aid Excel functions, let helps get solution best fitte...

The paper studies the impact of the portfolio constraint imposed by the consumption demand for housing (the “housing constraint”) on the household’s optimal holdings of financial assets. Since the ratio of housing to net worth declines as the household accumulates wealth, the housing constraint induces a life-cycle pattern in the portfolio shares of stocks and bonds. For reasonable degrees of r...

We introduce a decision support framework for the research and development (R&D) portfolio selection problem faced by a major U.S. semiconductor manufacturer. R&D portfolio selection is of critical importance to high-tech operations such as semiconductor and pharmaceutical, as it determines the blend of technological development the firm must invest in its R&D resources. This R&D investment lea...